| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 82.0% | 84.0% |
| Cumulative Return | 12.88% | 15.92% |
| CAGR﹪ | 62.59% | 80.84% |
| Sharpe | 0.07 | 0.04 |
| Prob. Sharpe Ratio | 90.84% | 79.71% |
| Smart Sharpe | 0.05 | 0.03 |
| Sortino | 0.1 | 0.06 |
| Smart Sortino | 0.08 | 0.05 |
| Sortino/√2 | 0.07 | 0.04 |
| Smart Sortino/√2 | 0.06 | 0.03 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -6.15% | -14.25% |
| Longest DD Days | 9 | 14 |
| Volatility (ann.) | 0.49% | 1.06% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 10.18 | 5.67 |
| Skew | 3.71 | 0.67 |
| Kurtosis | 7404.11 | 374.34 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 4.12% | 5.05% |
| Expected Yearly | 12.88% | 15.92% |
| Kelly Criterion | -0.81% | -0.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.04% | -0.09% |
| Expected Shortfall (cVaR) | -0.04% | -0.09% |
| Max Consecutive Wins | 23 | 17 |
| Max Consecutive Losses | 13 | 12 |
| Gain/Pain Ratio | 0.91 | 0.32 |
| Gain/Pain (1M) | - | 2.88 |
| Payoff Ratio | 0.7 | 0.7 |
| Profit Factor | 1.03 | 1.01 |
| Common Sense Ratio | 1.05 | 1.02 |
| CPC Index | 0.42 | 0.41 |
| Tail Ratio | 1.03 | 1.01 |
| Outlier Win Ratio | 18.0 | 5.3 |
| Outlier Loss Ratio | 9.34 | 2.77 |
| MTD | 0.21% | -6.13% |
| 3M | 12.88% | 15.92% |
| 6M | 12.88% | 15.92% |
| YTD | 12.88% | 15.92% |
| 1Y | 12.88% | 15.92% |
| 3Y (ann.) | 62.59% | 80.84% |
| 5Y (ann.) | 62.59% | 80.84% |
| 10Y (ann.) | 62.59% | 80.84% |
| All-time (ann.) | 62.59% | 80.84% |
| Best Day | 3.87% | 3.19% |
| Worst Day | -3.69% | -3.04% |
| Best Month | 7.12% | 11.36% |
| Worst Month | 0.21% | -6.13% |
| Best Year | 12.88% | 15.92% |
| Worst Year | 12.88% | 15.92% |
| Avg. Drawdown | -0.03% | -0.53% |
| Avg. Drawdown Days | 0 | 0 |
| Recovery Factor | 2.1 | 1.12 |
| Ulcer Index | 0.01 | 0.04 |
| Serenity Index | 0.11 | 0.03 |
| Avg. Up Month | 6.14% | 11.13% |
| Avg. Down Month | - | - |
| Win Days | 58.41% | 58.72% |
| Win Month | 100.0% | 66.67% |
| Win Quarter | 100.0% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.27 | - |
| Alpha | 0.0 | - |
| Correlation | 58.08% | - |
| Treynor Ratio | 47.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 15.92 | 12.88 | 0.81 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-10 | 2022-08-19 | -6.15 | 9 |
| 2022-09-21 | 2022-09-22 | -4.08 | 0 |
| 2022-08-04 | 2022-08-09 | -3.33 | 4 |
| 2022-10-25 | 2022-10-31 | -3.18 | 6 |
| 2022-09-07 | 2022-09-13 | -1.92 | 5 |
| 2022-10-12 | 2022-10-13 | -1.07 | 0 |
| 2022-09-17 | 2022-09-21 | -1.03 | 3 |
| 2022-08-19 | 2022-08-19 | -0.98 | 0 |
| 2022-08-24 | 2022-08-26 | -0.92 | 2 |
| 2022-10-02 | 2022-10-02 | -0.91 | 0 |